Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0019
Annualized Std Dev 0.1370
Annualized Sharpe (Rf=0%) -0.0138

Row

Daily Return Statistics

Close
Observations 5584.0000
NAs 1.0000
Minimum -0.1302
Quartile 1 -0.0042
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0043
Maximum 0.1689
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0086
Skewness 0.3182
Kurtosis 45.3344

Downside Risk

Close
Semi Deviation 0.0061
Gain Deviation 0.0065
Loss Deviation 0.0065
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0061
Downside Deviation (0%) 0.0061
Maximum Drawdown 0.3415
Historical VaR (95%) -0.0123
Historical ES (95%) -0.0189
Modified VaR (95%) -0.0055
Modified ES (95%) -0.0055
From Trough To Depth Length To Trough Recovery
1999-03-08 2008-10-09 2012-03-08 -0.3415 3270 2411 859
2012-11-30 2013-12-16 NA -0.2093 2090 263 NA
2012-03-09 2012-03-22 2012-04-09 -0.0631 21 10 11
2012-04-10 2012-04-23 2012-07-09 -0.0505 63 10 53
2012-07-11 2012-08-16 2012-09-12 -0.0501 45 27 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.6 0 -0.7 0 0 0 -0.7 -1.4 0.7 -0.8 -2.3 -4.5
2000 0 -0.8 -0.8 0 1.5 -0.7 0 0.7 -0.7 4.5 0 0 3.7
2001 0.1 -1.1 -0.3 0.8 0 1 -0.3 -0.8 -0.2 1 -0.6 0.8 0.2
2002 0.1 0.6 0 0.3 -1 -0.9 0.2 1 -0.2 -0.1 0.5 -0.2 0.3
2003 -1.9 -0.4 0 -0.3 0.2 2.5 1.6 -0.1 0.4 0.3 -0.4 0.1 1.9
2004 0.1 0.3 -0.3 0.5 -1.9 0.2 -0.2 1.1 0.2 -0.2 0.5 -0.3 -0.1
2005 0.2 0.8 0.5 1 1.5 0.5 0.1 0.1 -0.2 -0.8 0.7 0.5 5
2006 -0.1 0.1 0.5 -0.1 1 1 0.2 0.5 0.6 -0.4 0.3 0.1 3.8
2007 0 0 -1.5 -0.1 0.2 0.5 -0.3 0.2 -0.5 0 -0.1 -0.1 -1.7
2008 1 -1.8 0 0.4 0 0.4 1 0.2 1 0.2 0.1 1.1 3.5
2009 -0.7 -0.7 -0.7 -0.3 -0.2 0.3 0.5 -0.2 0.4 0 -0.3 -0.4 -2.2
2010 -0.1 0.5 0.2 0 -0.6 0 0.1 -0.1 0.7 -0.8 -0.2 1.8 1.6
2011 0.7 0.3 -0.1 0 0 0.3 1.7 -0.8 0.1 0 1.3 0 3.6
2012 0.8 -1 -0.1 0 -0.3 -0.1 -0.6 0.6 -0.4 0.3 -0.2 1 0
2013 -0.4 -0.3 -0.2 0 -1.3 0.3 -1.3 -0.1 -0.1 -0.5 -0.7 -0.3 -4.8
2014 0.1 -0.3 0.2 0.1 -0.3 0 0 0.5 0.6 0 0.4 0.5 1.9
2015 0.5 0.6 0.6 -0.3 -0.1 0.2 0.7 0.6 0 0.4 -0.2 0 3.1
2016 0 0.1 -0.3 -0.2 0.5 0 -0.2 0.4 -0.9 -0.7 -1.4 0.5 -2.1
2017 0.3 0.2 0.4 0.4 -1.1 1.3 -0.1 -1.2 0 -1 -0.5 -0.5 -1.8
2018 -0.6 0.5 -0.5 0.2 0 -0.5 0.4 0.7 0.1 0.5 -0.1 0.7 1.3
2019 1 0.3 0.5 -0.1 0.1 -0.3 0 -0.7 0.9 1 0.6 0.5 3.8
2020 1 -2.5 -2.6 -0.1 0.4 -0.1 0.5 2.7 -1.5 0.1 0.4 -1.8 -3.6
2021 0.2 -0.3 -0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  10   SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  10   SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  10.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  10   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  10.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  10.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart